Hi,
- About SPPB plugins warnings - you can still upgrade, it's OK. Trust me.
- Helix3 template - this template is not yet ready for Joomla 4.0.x - you have to wait for offcial update (next weeks), or switch template to different one. You can disable all helix3 plugins for migration period.
- Heix Ultimate - is Joomla 4.x ready, if you have the last version installed (2.0.5/6). Update plugin.
- SP Cookie Consent - please disable plugin for migration period, then upgrade plugin to J4 version after.

In general, I recommend wait with Joomla 4 upgrade few weeks. Not only here, we meet people who have many problems with new J4.0.4, core still buggy in many ways. Of course you can do as you like.